KBRA Assigns Preliminary Ratings to UBS 2018-C13

September 17, 2018

NEW YORK--(BUSINESS WIRE)--Sep 17, 2018--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to 16 classes of UBS 2018-C13 (see ratings list below), a $714.9 million CMBS conduit transaction collateralized by 53 commercial mortgage loans secured by 68 properties.

The collateral properties are located in 29 states, with one state exposure, California (11.9%), representing more than 10.0% of the pool balance. The pool has exposure to all of the major property types, with four each representing 10.0% or more of the pool balance: retail (30.8%), office (25.0%), multifamily (15.0%), and lodging (14.5%). The loans have principal balances ranging from $2.0 million to $48.0 million for the largest loan in the pool, 1670 Broadway (6.7%), which is secured by a 703,654 sf Class-A office building located in the CBD of Denver, Colorado. The five largest loans, which also include The Buckingham (6.3%), Lower Makefield Corporate Center - South (4.7%), Christiana Mall (4.2%), and Wyvernwood Apartments (3.9%), represent 25.9% of the initial pool balance, while the top 10 loans represent 42.4%.

KBRA’s analysis of the transaction incorporated our multi-borrower rating process that begins with our analysts’ evaluation of the underlying collateral properties’ financial and operating performance, which determine KBRA’s estimate of sustainable net cash flow (KNCF) and KBRA value using our . On an aggregate basis, KNCF was 7.3% less than the issuer cash flow. KBRA capitalization rates were applied to each asset’s KNCF to derive values that were, on an aggregate basis, 37.8% less than third party appraisal values. The pool has an in-trust KLTV of 96.0% and an all-in KLTV of 104.0%. The model deploys rent and occupancy stresses, probability of default regressions, and loss given default calculations to determine losses for each collateral loan that are then used to assign our credit ratings.

For complete details on the analysis, please see our pre-sale report, published at . The report includes our , an easy to use, Excel-based workbook that provides the following information:

KBRA Deal Tape – Contains KBRA loan level details for every loan in the pool, and the ability for users to input adjustments to KNCF and KBRA Cap Rates and see the related impact on key deal metrics. KBRA Credit Metrics Comparison Tool – Enables the user to compare the subject transaction to a user-defined transaction comp set. The feature provides many of the fields that are included in our CMBS Monthly Trend Watch publication. Excel-based property cash flow statements for the top 20 loans.

1 The exact initial certificate balances of the Class A-3 and A-4 certificates will not be determined until final pricing. However, each class’ initial certificate balance is expected to fall within the following ranges: Class A-3 - $100.0 million to $120.0 million; Class A-4 - $223,741,000 to $243,741,000. 2 Approximate initial certificate balances. The certificate balances of the Class D and D-RR certificates (and accordingly, the approximate notional balance of the Class X-D certificates) will not be determined until final pricing. However, each class’ initial certificate balance is expected to fall within the following ranges: Class D – $14,204,000 to $18,158,000; Class D-RR – $17,586,000 to $21,540,000. The notional balance of the Class X-D certificates will be equal to the certificate balance of the Class D certificates. 3 In satisfaction of the US Risk Retention rules, these classes are expected to be purchased and retained by KKR Real Estate Credit Opportunity Partners Aggregator I L.P. or its majority-owned affiliate (in satisfaction of the retention obligations of UBS AG, New York Branch in its capacity as the retaining sponsor), a third-party purchaser on the closing date. Such classes will represent an “eligible horizontal residual interest” and will represent at least 5.0% of the fair market value of all non-residual certificates issued. 4 Notional balance.

Representations & Warranties Disclosure

All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC Rule 17g-7, to provide a description of a transaction’s representations, warranties and enforcement mechanisms that are available to investors when issuing credit ratings. KBRA’s disclosure for this transaction can be found in the report available .

Related Publications: (available at )

About KBRA and KBRA Europe

KBRA is a full service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus, is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider, and is a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.

View source version on businesswire.com:https://www.businesswire.com/news/home/20180917005681/en/

CONTACT: Kroll Bond Rating Agency

Analytical Contacts:

Albert Lee, Associate Director

(646) 731-2448



James Wang, Senior Director

(646) 731-2450



Yee Cent Wong, Senior Managing Director

(646) 731-2374



Dayna Carley, Senior Director

(646) 731-2391




SOURCE: Kroll Bond Rating Agency

Copyright Business Wire 2018.

PUB: 09/17/2018 02:49 PM/DISC: 09/17/2018 02:49 PM


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